Let's face it; being herded around like cattle by a bored guide holding a flag is not particularly fun. Exploring a new, exotic place on your own make for a lot more interesting experiences. The downside is that not every town is laid out in a neat grid with rational street names and numbers. Towns in older countries often grew out of an ancient mishmash of walkways and haphazard building, with both comical and confusing results. If you get lost, however, it's more of the latter than the former.
The easiest way to avoid getting lost in the first place is to get a good, detailed map and continuously check your position as you encounter major intersections or landmarks. This way, you will at least have a general idea of where you are so that you can retrace your steps back to familiar territory.
For the frequent traveler, a small Global Positioning System (GPS) device may be worth the money. These little gadgets will instantly tell you where you are within a few feet, technically preventing you from ever getting 'lost' in the first place. The cheapest ones go for under $100, while more expense ones come with built-in maps and all sorts of bells and whistles.
Many countries teach mandatory English in school, especially in Europe, so don't be afraid to ask the locals for directions. However, do NOT make the classic mistake of addressing people as if they're morons, i.e. speaking loudly and overpronounciating even the simplest words. If you do, odds are you'll get directions to the city dump. Instead, just be polite and speak clearly. Showing a piece of paper with the name and address of your hotel is a good last resort.
If you don't have a map handy, look for tall landmarks. Odds are you'll come across some street or location you recognize on the way there. By going in a straight direction, you're preventing yourself from wandering in circles and getting further lost. If you have not found anything familiar by the time you get there, there should at least be plenty of taxis around.
Public transit is another easy-to-forget savior of the lost. If you're stuck in some unknown part without any idea of which direction to go, consider the subway or the bus. These often feature simplified, color coded maps. Granted, it may not be easy to navigate the Paris subway system, but if you know the color and the name of the station closest to your hotel, you'll make it there eventually.
Lastly, there's the classic solution: start the day by buying a large loaf of bread, then leave a trail of crumbs behind you as you walk around. It's foolproof, and the pigeons will love you.
